Only certain versions of Windows allow for file system encryption (encrypting on the file level that is seamless for all programs using files/folders). Open a command prompt and type "cipher /?". If it says the command is not recognized, then you do not have a version of Windows that supports this. If you do, then you can use cipher.exe to encrypt/decrypt files/folders.
Alternatively, you can try
KPKFile (read about
private folders) or
WinGuard Pro, which apparently allows you to "Encrypt Files, Folders & Drives from Windows Explorer".